6 papers
Governmental incentives for green bonds investment
Bastien Baldacci, Dylan Possamaï
Motivated by the recent studies on the green bond market, we build a model in which an investor trades on a portfolio of green and conventional bonds, both issued by the same gover…
McKean-Vlasov optimal control: limit theory and equivalence between different formulations
Fabrice Mao Djete, Dylan Possamaï, Xiaolu Tan
We study a McKean-Vlasov optimal control problem with common noise, in order to establish the corresponding limit theory, as well as the equivalence between different formulations,…
Optimal make take fees in a multi market maker environment
Bastien Baldacci, Dylan Possamaï, Mathieu Rosenbaum
Following the recent literature on make take fees policies, we consider an exchange wishing to set a suitable contract with several market makers in order to improve trading qualit…
Mean-field moral hazard for optimal energy demand response management
Romuald Elie, Emma Hubert, Thibaut Mastrolia +1
We study the problem of demand response contracts in electricity markets by quantifying the impact of considering a mean-field of consumers, whose consumption is impacted by a comm…
Equilibrium Asset Pricing with Transaction Costs
Martin Herdegen, Johannes Muhle-Karbe, Dylan Possamaï
We study risk-sharing economies where heterogenous agents trade subject to quadratic transaction costs. The corresponding equilibrium asset prices and trading strategies are charac…
Optimal electricity demand response contracting with responsiveness incentives
René Aïd, Dylan Possamaï, Nizar Touzi
Despite the success of demand response programs in retail electricity markets in reducing average consumption, the random responsiveness of consumers to price event makes their eff…